Did COVID-19 Disrupt the Stock Market Return and Volatility?: A Meta-Analytic Approach

Masagus M. Ridhwan; Solikin M. Juhro; Affandi Ismail; Peter Nijkamp; Kelvin Ramadhan Hidayat

doi:10.59091/2460-9196.2193

Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach

Masagus M. Ridhwan^*, Solikin M. Juhro, Affandi Ismail, Peter Nijkamp, Kelvin Ramadhan Hidayat

^*Corresponding author for this work

Department of Strategic Management

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

We provide a quantitative synthesis of the literature utilizing meta-regression analysis on the measurable effect of the combined health and economic crisis due to the COVID-19 pandemic on stock market returns and volatility. This study is conducted based on 104 studies published during the period 2020 to 2022. We find strong evidence of a negative publication bias for COVID-19 impacts on stock market returns and a positive bias on volatility. We document that COVID-19 has a moderate negative effect on stock market returns. Estimates based on intraday stock returns show a greater effect compared to those using daily returns, whereas estimates using weekly returns exhibit the opposite trend . The market reacts more negatively to the COVID-19related news than the number of COVID-19 cases/deaths. Overall, this study confirms the disruptive effect of COVID-19 pandemic on stock market performance.

Original language	English
Article number	2
Pages (from-to)	25-82
Number of pages	58
Journal	Buletin Ekonomi Moneter dan Perbankan
Volume	27
Issue number	1
DOIs	https://doi.org/10.59091/2460-9196.2193
Publication status	Published - 2024

Keywords

A meta-regression analysis
COVID-19
Stock market return
Stock market volatility

Access to Document

10.59091/2460-9196.2193Licence: CC BY-NC

Cite this

@article{b6cce44416664921a24d5bcce7fa9bee,

title = "Did COVID-19 Disrupt the Stock Market Return and Volatility?: A Meta-Analytic Approach",

abstract = "We provide a quantitative synthesis of the literature utilizing meta-regression analysis on the measurable effect of the combined health and economic crisis due to the COVID-19 pandemic on stock market returns and volatility. This study is conducted based on 104 studies published during the period 2020 to 2022. We find strong evidence of a negative publication bias for COVID-19 impacts on stock market returns and a positive bias on volatility. We document that COVID-19 has a moderate negative effect on stock market returns. Estimates based on intraday stock returns show a greater effect compared to those using daily returns, whereas estimates using weekly returns exhibit the opposite trend . The market reacts more negatively to the COVID-19related news than the number of COVID-19 cases/deaths. Overall, this study confirms the disruptive effect of COVID-19 pandemic on stock market performance.",

keywords = "A meta-regression analysis, COVID-19, Stock market return, Stock market volatility",

author = "Ridhwan, {Masagus M.} and Juhro, {Solikin M.} and Affandi Ismail and Peter Nijkamp and {Ramadhan Hidayat}, Kelvin",

year = "2024",

doi = "10.59091/2460-9196.2193",

language = "English",

volume = "27",

pages = "25--82",

journal = "Buletin Ekonomi Moneter dan Perbankan",

issn = "1410-8046",

publisher = "Bank Indonesia Institute",

number = "1",

}

TY - JOUR

T1 - Did COVID-19 Disrupt the Stock Market Return and Volatility?

T2 - A Meta-Analytic Approach

AU - Ridhwan, Masagus M.

AU - Juhro, Solikin M.

AU - Ismail, Affandi

AU - Nijkamp, Peter

AU - Ramadhan Hidayat, Kelvin

PY - 2024

Y1 - 2024

N2 - We provide a quantitative synthesis of the literature utilizing meta-regression analysis on the measurable effect of the combined health and economic crisis due to the COVID-19 pandemic on stock market returns and volatility. This study is conducted based on 104 studies published during the period 2020 to 2022. We find strong evidence of a negative publication bias for COVID-19 impacts on stock market returns and a positive bias on volatility. We document that COVID-19 has a moderate negative effect on stock market returns. Estimates based on intraday stock returns show a greater effect compared to those using daily returns, whereas estimates using weekly returns exhibit the opposite trend . The market reacts more negatively to the COVID-19related news than the number of COVID-19 cases/deaths. Overall, this study confirms the disruptive effect of COVID-19 pandemic on stock market performance.

AB - We provide a quantitative synthesis of the literature utilizing meta-regression analysis on the measurable effect of the combined health and economic crisis due to the COVID-19 pandemic on stock market returns and volatility. This study is conducted based on 104 studies published during the period 2020 to 2022. We find strong evidence of a negative publication bias for COVID-19 impacts on stock market returns and a positive bias on volatility. We document that COVID-19 has a moderate negative effect on stock market returns. Estimates based on intraday stock returns show a greater effect compared to those using daily returns, whereas estimates using weekly returns exhibit the opposite trend . The market reacts more negatively to the COVID-19related news than the number of COVID-19 cases/deaths. Overall, this study confirms the disruptive effect of COVID-19 pandemic on stock market performance.

KW - A meta-regression analysis

KW - COVID-19

KW - Stock market return

KW - Stock market volatility

U2 - 10.59091/2460-9196.2193

DO - 10.59091/2460-9196.2193

M3 - Article

AN - SCOPUS:85191609783

SN - 1410-8046

VL - 27

SP - 25

EP - 82

JO - Buletin Ekonomi Moneter dan Perbankan

JF - Buletin Ekonomi Moneter dan Perbankan

IS - 1

M1 - 2

ER -

Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach

Abstract

Keywords

Access to Document

Fingerprint

Cite this